05284nam 22007933u 450 991078571460332120210112195212.01-316-08866-91-139-56384-X1-139-54899-90-511-84439-51-139-55520-01-139-55395-X1-139-55149-3(CKB)2670000000270083(EBL)989093(OCoLC)817928924(SSID)ssj0000758239(PQKBManifestationID)11414286(PQKBTitleCode)TC0000758239(PQKBWorkID)10780619(PQKB)10314793(MiAaPQ)EBC989093(PPN)261325604(EXLCZ)99267000000027008320130418d2012|||| u|| |engur|n|---|||||txtccrMarket Liquidity[electronic resource] Asset Pricing, Risk, and CrisesCambridge Cambridge University Press20121 online resource (294 p.)Description based upon print version of record.0-521-19176-9 Cover; MARKET LIQUIDITY; Title; Copyright; Contents; Acknowledgments; Introduction and Overview of the Book; PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS; Introduction and Overview; CHAPTER 1 Asset Pricing and the Bid-Ask Spread; Summary and Implications; Asset Pricing and the Bid-Ask Spread*; 1. Introduction; 2. A Model of the Return-Spread Relation; 3. Empirical Tests; 3.1. The Data and the Derivation of the Variables; 3.2. Test Methodology; 3.3. The Results; 4. Firm Size, Spread and Return; 5. Conclusion; ReferencesCHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesSummary and Implications; Liquidity, Maturity, and the Yields on U.S. Treasury Securities; I. Liquidity and the U.S. Government Securities Market; II. Empirical Tests; A. The Data; B. The Liquidity Effect; C. Maturity Effects; III. Arbitrage Opportunities; IV. Concluding Remarks; References; CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange; Summary and Implications; Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange; 1. Introduction2. Trading Mechanisms on the Tel Aviv Stock Exchange2.1. The Call Method; 2.2. The Variable Price Method; 2.3. Transfer Procedure; 3. Methodology and Empirical Results; 3.1. The Data; 3.2. Cumulative Abnormal Returns; 3.3. Liquidity Externalities; 3.4. Liquidity, Efficiency and the Trading Mechanism; 3.4.1. Liquidity; 3.4.2. Efficiency; 3.4.3. The Interaction of Liquidity and Efficiency Improvements; 4. Conclusions; References; PART II: LIQUIDITY RISK; Introduction and Overview; CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects; Summary and ImplicationsIlliquidity and Stock Returns Cross-Section and Time-Series Effects1. Introduction; 2. Cross-Section Relationship Between Illiquidity and Stock Return; 2.1. Measures of Illiquidity; 2.2. Empirical Methodology; 2.3. Stock Characteristics; 2.3.1. Liquidity Variables; 2.3.2. Risk Variables; 2.3.3. Additional Variables; 2.4. Cross-Section Estimation Results; 3. The Effect Over Time of Market Illiquidity on Expected Stock Excess Return; 3.1. Estimation Procedure and Results; 3.2. Market Illiquidity and Excess Returns on Size-Based Portfolios3.3. Monthly Data: The Effect of Illiquidity on Stock Excess Returns3.4. Illiquidity Effect, Controlling for the Effects of Bond Yield Premiums; 4. Summary and Conclusion; References; CHAPTER 5 Asset Pricing with Liquidity Risk; Summary and Implications; Asset Pricing with Liquidity Risk; 1. Introduction; 2. Assumptions; 3. Liquidity-Adjusted Capital Asset Pricing Model; 3.1. Three Liquidity Risks; 3.2. Implications of Persistence of Liquidity; 3.3. An Unconditional Liquidity-Adjusted CAPM; 4. Empirical Results; 4.1. The Illiquidity Measure; 4.2. Portfolios; 4.3. Innovations in Illiquidity4.4. Liquidity RiskThis book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.Assets (Accounting) -- Econometric modelsLiquidity (Economics) -- Econometric modelsLiquidity (Economics)Markets -- Econometric modelsSecurities -- PricesLiquidity (Economics)PricesSecuritiesAssets (Accounting) -- Econometric models.Liquidity (Economics) -- Econometric models.Liquidity (Economics).Markets -- Econometric models.Securities -- Prices.Liquidity (Economics)PricesSecurities332.63/222332.63222Amihud Yakov1947-1568009Mendelson Haim1568010Pedersen Lasse Heje1568011AU-PeELAU-PeELAU-PeELBOOK9910785714603321Market Liquidity3839836UNINA05348nam 22006494a 450 991083001090332120170815112905.01-280-73956-897866107395610-470-02865-30-470-02866-1(CKB)1000000000357310(EBL)284442(SSID)ssj0000244419(PQKBManifestationID)11191236(PQKBTitleCode)TC0000244419(PQKBWorkID)10169446(PQKB)11039010(MiAaPQ)EBC284442(OCoLC)85820841(EXLCZ)99100000000035731020060215d2006 uy 0engur|n|---|||||txtccrService modelling[electronic resource] principles and applications /Vilho RäisänenChichester, England ;Hoboken, NJ Wileyc20061 online resource (297 p.)Description based upon print version of record.0-470-01807-0 Includes bibliographical references (p. [249]-251) and index.SERVICE MODELLING; Contents; Acknowledgements; Preface; Abbreviations; How to Read This Book; Information About Trademarks and Copyrights; List of Figures; List of Tables; I Background; 1 Introduction; 1.1 Definition of Service Modelling; 1.2 Packet-based Services; 1.2.1 State of the Art; 1.2.2 Trends; 1.3 Emerging Technologies; 1.3.1 WWRF; 1.3.2 MobiLife; 1.4 Summary; 1.5 Highlights; 2 Approaches to Modelling; 2.1 Introduction to Modelling; 2.2 Software Engineering Paradigm; 2.3 Object-Oriented Modelling; 2.4 Expert Systems; 2.5 Service-Oriented Architectures; 2.6 Databases2.7 Architecture Design2.8 Other Modelling Methods; 2.9 Summary; 2.10 Highlights; 3 Industry Initiatives; 3.1 Introduction; 3.2 OMG; 3.2.1 Meta-modelling Viewpoint; 3.2.2 MOF; 3.2.3 MDA; 3.2.4 UML; 3.2.5 CORBA; 3.3 Business Process Management; 3.3.1 Workflow Management Coalition; 3.3.2 OASIS; 3.3.3 BPMI.org; 3.3.4 RosettaNet; 3.4 ITU; 3.5 3GPP; 3.6 TeleManagement Forum; 3.6.1 Enhanced Telecom Operations Map; 3.6.2 Shared Information/Data Model; 3.6.3 Service Framework; 3.6.4 Services Over IP; 3.7 IT Service Management Forum; 3.8 Activities Related to Internet Services; 3.8.1 W3C; 3.8.2 WS-I3.8.3 Liberty Alliance3.9 Other Fora and Viewpoints; 3.9.1 SLAs; 3.9.2 OMA; 3.9.3 Semantic Description of Web Services; 3.10 Summary; 3.11 Highlights; II Service Modelling Concepts; 4 Requirements for Service Modelling; 4.1 Notation; 4.2 General Requirements and Concerns; 4.3 Technology-related Requirements; 4.4 Process-related Requirements; 4.5 Information Modelling-Related Requirements; 4.6 Stakeholder Type-Specific Requirements and Concerns; 4.6.1 End-user/Subscriber; 4.6.2 Service Provider; 4.6.3 Connectivity Provider; 4.6.4 Enabler Provider; 4.6.5 Stakeholder Interrelationships4.7 Summary4.8 Highlights; 5 Management Framework; 5.1 Description of the Framework; 5.1.1 Views to Modelling Management Tasks; 5.1.2 Management Framework; 5.1.3 Service Life Cycle; 5.1.4 Service and Product Concepts; 5.2 Assumptions about Inter-provider Relations; 5.3 Relation to Existing Frameworks; 5.4 Summary; 5.5 Highlights; 6 Service Framework; 6.1 Introduction; 6.2 Service Quality Framework; 6.2.1 Prior Work; 6.2.2 Requirements; 6.2.3 Description of the Framework; 6.2.4 Use of the Framework in Service Quality Management; 6.2.5 Perspective; 6.3 Security Framework6.3.1 Aspects of Security6.3.2 Privacy and Trust; 6.3.3 Security Framework; 6.3.4 Summary; 6.4 Using of Service Framework in Management Framework; 6.4.1 Product Creation; 6.4.2 Service Subcontracting; 6.4.3 Linking Service to Resources; 6.4.4 Purchasing a Product; 6.4.5 Service Optimisation; 6.5 End-user Services; 6.5.1 Introduction; 6.5.2 Background Data Transfer; 6.5.3 Interactive Data Transfer; 6.5.4 Messaging; 6.5.5 Streaming; 6.5.6 Conferencing; 6.6 Summary; 6.7 Highlights; 7 Service Modelling Patterns; 7.1 Modelling Framework; 7.2 Modelling Patterns; 7.2.1 Abstract Patterns7.2.2 Basic EntitiesLearn how to use service modelling to streamline and optimize processes! Information about customer needs, the technical composition of services, and service performance are fundamental to effective service management. Service modelling is a structured approach to utilizing this information to improve the way services are delivered. Consistent application of service modelling provides the automation of processes and timely access to information. Service Modelling presents a comprehensive, up-to-date overview of the topic, presented in the context both of business processes, aDigital communicationsSoftware architectureBusiness enterprisesData processingDigital communications.Software architecture.Business enterprisesData processing.004.6068658.500285658.812011Räisänen Vilho855344MiAaPQMiAaPQMiAaPQBOOK9910830010903321Service modelling4040228UNINA